As we already have the code to convert lot of formats to BMP, we just created a TBitmap descendant with a custom LoadFromFile procedure. Registered the file types with RegisterFileFormat and voila! It seems we only need the LoadFromFile for the OpenPictureDialog (TOpenPictureDialog) to display the preview.

Of course our method is a bit brute (the conversion from any to BMP is being done via a temporary file for legacy reasons).